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The money market reference rates for the euro.
Since the 1st of January 1999, Europe has a new currency, the euro.
To date, 15 countries of the European Union have adopted the euro.
A new financial market emerged following the introduction of
the euro and developed its own benchmarks.
The benchmarks for the money and capital markets in the euro zone
are EURIBOR and Eonia.
Euribor (Euro Interbank Offered Rate) is the rate at which euro
interbank term deposits within the euro zone are offered by one prime
bank to another prime bank.
Eonia (Euro OverNight Index Average) is an effective overnight rate
computed as a weighted average of all overnight unsecured lending
transactions in the interbank market, initiated within the euro area
by the contributing panel banks.
These rates benefit from:
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A large integrated market with
a single currency. |
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An impressive panel of quoting
banks of first class credit standing. |
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A solid Code of Conduct setting
out strict rules for the panel banks. |
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An independent Steering
Committee of market experts which oversees the application
of the Code of Conduct and monitors market developments. |
Panel Banks
The contributors to Euribor are the
banks with the highest volume of business in the euro zone money
markets. The panel of banks contributing to Euribor
consists of:
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Banks from EU countries
participating in the euro from the outset. |
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Banks from EU countries not
participating in the euro from the outset. |
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Large international banks from
non-EU countries but with important euro zone operations. |
The banks contributing to Eonia are
the same as the Panel Banks contributing to Euribor.
The panel of contributing banks currently consists of:
| Austria |
Erste Bank der Österreichischen
Sparkassen |
RZB - Raiffeisen
Zentralbank Österreich AG |
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| Belgium |
Dexia Bank |
Fortis Bank |
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KBC |
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| Finland |
Nordea |
|
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| France |
BNP - Paribas |
Natexis Banques
Populaires |
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IXIS CIB |
Crédit Agricole
s.a. |
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HSBC CCF |
Crédit
Industriel et Commercial CIC |
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Société Générale |
|
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| Germany |
Bankgesellschaft
Berlin |
Bayerische Hypo-
und Vereinsbank |
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Bayerische
Landesbank Girozentrale |
Commerzbank |
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Deutsche Bank |
DZ Bank Deutsche
Genossenschaftsbank |
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Dresdner Bank |
Landesbank
Baden-Württemberg Girozentrale |
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Landesbank Hessen
- Thüringen Girozentrale |
Norddeutsche
Landesbank Girozentrale |
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WestLB AG |
|
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| Greece |
National Bank of
Greece |
|
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| Ireland |
AIB Group |
Bank of Ireland |
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| Italy |
Banca IntesaBci |
Capitalia SpA |
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Banca Nazionale
del Lavoro |
Sanpaolo IMI Bank |
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Monte dei Paschi
di Siena |
UniCredito
Italiano |
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| Luxembourg |
Banque et Caisse
d'Épargne de l'État |
|
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| Netherlands |
ABN Amro Bank |
Rabobank |
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ING Bank |
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| Portugal |
Caixa Geral De
Depósitos (CGD) |
|
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| Spain |
Banco Bilbao
Vizcaya Argentaria |
Confederacion
Española de Cajas de Ahorros |
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Banco Santander
Central Hispano |
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| Other
EU Banks |
Barclays Capital |
Den Danske Bank |
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Svenska
Handelsbanken |
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| International
Banks |
Bank of Tokyo -
Mitsubishi |
J.P. Morgan Chase
& Co. |
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Citibank |
UBS (Luxembourg)
S.A. |
Technical
features
The following information has been produced
by the European Banking Federation (FBE) which represents the
interests of over 4500 European banks.
Main specifications
The reference rate is referred to as Euribor
(Euro Interbank Offered Rate).
A representative panel of banks provide daily quotes of the rate,
rounded to two decimal places, that each panel bank believes one prime
bank is quoting to another prime bank for interbank term deposits
within the euro zone.
Euribor is quoted for spot value
(T+2) and on an act/360 day-count convention. It is displayed to three
decimal places.
Panel Banks contribute for one, two and three weeks and for twelve
maturities from one to twelve months.
Contribution
of data
Every Panel Bank is required to directly input its data no later than
10:45 a.m. (CET) on each day that the Trans-European Automated
Real-Time Gross-Settlement Express Transfer system (TARGET) is open.
Each Panel Bank is allocated a private page on which to contribute its
data. Each private page can only be viewed by the contributing Panel
Bank and by Reuters staff involved in the fixing process.
From 10:45 a.m. to 11:00 a.m. (CET) at the latest, the Panel Banks can
correct, if necessary, their quotations.
Calculation
of Euribor
At 11:00 a.m. (CET), Reuters will process the Euribor
calculation.
Reuters shall, for each maturity, eliminate the highest and lowest 15%
of all the quotes collected. The remaining rates will be averaged and
rounded to three decimal places.
Publication
of Euribor
After the calculation has been processed at 11:00 a.m. (CET), Reuters
will instantaneously publish the Euribor
reference rate on Reuters pages 248-249, which will be made available
to all its subscribers and to other data vendors.
At the same time, the underlying Panel Bank rates will be published on
a series of fifteen composite pages which will display all the rates
by maturity.
Reuters will also display successor Euribor
rates in the exact same location as the national currency rates which
they succeed. National currency rates which were quoted on an act/365
basis will be replaced in the same location by a converted Euribor
act/365 displayed to three decimal places.
Historical data for Euribor can be
found on Reuters pages 47860-66 (for a period going back one month) or
by contacting Reuters in London (tel: 44-207-832-9577 - fax:
44-207-583-1619).
Fallback
provisions
Before calculating at 11:00 a.m. (CET) on each TARGET day the Euribor
for that day, Reuters shall verify if all Panel Banks have made their
data available for that day in accordance with established procedures.
If one or more Panel Banks have failed to do so, Reuters shall use
reasonable efforts to remind such Panel Banks by telephone or any
other means of communication of their obligation to provide the data
and shall invite them to submit the data immediately. Should any Panel
Bank, after such a reminder, still not provide its data until 11:00
a.m. (CET), Reuters shall calculate the Euribor
for that day without the missing data and promptly notify Euribor FBE
in writing.
If more than 50% of Panel Banks fail to provide their data by 11:00
a.m. (CET), Reuters shall delay calculating the Euribor
until 50% of the Panel Banks have quoted. If this is not possible
before 11:15 a.m. (CET), Reuters shall, at 11.15 a.m., either:
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if 12 or more Panel Banks
from 3 or more countries have provided data, calculate and
display the Euribor based
on this data.
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if fewer than 12 Panel
Banks have provided data or if the Panel Banks which have
provided data are from fewer than 3 countries, Reuters
shall delay the calculation of the Euribor
for that day until 12 or more Panel Banks from 3 or more
countries have provided data. Reuters, at 11:15 a.m.
(CET), indicate the delay on the page where Euribor
should be displayed.
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